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Banking Event Modeling and Simulation in Scenario-Oriented Stress Testing

机译:面向场景的压力测试中的银行事件建模和仿真

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The recent 2008 financial tsunami has made the financial regulators realize the importance of stress testing in banking systems. One of the major challenges in stress testing is to model and calibrate "exceptional but plausible" scenarios in which macroeconomic shocks may cause contagious bank failures that may lead to the breakdown of a banking system. Presently, existing stress testing methods mainly focus on modeling single or multiple risk factors through a "static snapshot" of the banking systems. However, real-world bank crisis scenarios are much more dynamic such that different event occurrence sequences may have different impacts on individual banks and banking systems. For purposes of predicting contagious bank failures in stress testing, we propose the use of event-driven process chains in modeling bank failure scenarios. We refer to this approach as Banking Event-driven Scenario-oriented Stress Testing (or simply the BESST approach). We compare the pros and cons of the BESST approach with two existing approaches in an example scenario. In addition, we conducted a financial simulation based on this example scenario to demonstrate the validity of the BESST approach.
机译:最近的2008年金融海啸使金融监管机构意识到银行系统压力测试的重要性。压力测试的主要挑战之一是对“异常但合理”的情景进行建模和校准,在这种情景中,宏观经济冲击可能会导致传染性的银行倒闭,并可能导致银行体系崩溃。当前,现有的压力测试方法主要集中在通过银行系统的“静态快照”对单个或多个风险因素进行建模。但是,现实世界中的银行危机场景更加动态,以致于不同的事件发生顺序可能对单个银行和银行系统产生不同的影响。为了在压力测试中预测传染性银行故障,我们建议在模型化银行故障场景中使用事件驱动的流程链。我们将此方法称为银行事件驱动的面向场景的压力测试(或简称为BESST方法)。在一个示例场景中,我们将BESST方法的优缺点与两种现有方法进行了比较。此外,我们基于此示例场景进行了财务模拟,以证明BESST方法的有效性。

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